Solved – Robust Residual standard error (in R)

prediction intervalrresidualssandwichstandard error

I have a question regarding to the concept of robust standard errors. What I found about that topic is, that one can estimate the robust standard error for regression coefficients to eliminate problems with heteroscedasticity (when one wants to interpret a model). I want to know if there is a way not only to determine robust standard errors of coefficients but also of the standard error of the overall regression (residual standard error). When its possible, how can I calculate such a value in general?

Because I'm using R its also interesting for me if there is a R-function for this problem (I only know the sandwich-package for the normal robust SE of the coefficients).

Thanks.

Best Answer

If you are interested in the conditional mean $\mathop{\mathbb{E}} \bigl[ y_j|X_j \bigr] = X_j' \beta$, where $X_j$ may be in or out of sample, then of course you can get the standard error for that as the square root of $$ X_j' \, \hat v[\hat \beta] \, X_j $$ where $\hat v[\hat \beta]$ is the heteroskedasticity-corrected/sandwich variance estimator. But that conditional mean is rarely of huge interest; I believe you are interested in characterizing what the whole distribution of $y_j = X_j + \varepsilon_j$ may have looked like. Without knowing more about the distribution of $\varepsilon_j$ you, of course, won't be able to say much about what the variance of $y_j$ will be.

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